Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0092
Annualized Std Dev 0.2848
Annualized Sharpe (Rf=0%) 0.0324

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1437
Quartile 1 -0.0081
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0091
Maximum 0.2026
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0179
Skewness -0.4159
Kurtosis 9.4866

Downside Risk

Close
Semi Deviation 0.0132
Gain Deviation 0.0122
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.8470
Historical VaR (95%) -0.0272
Historical ES (95%) -0.0439
Modified VaR (95%) -0.0279
Modified ES (95%) -0.0535
From Trough To Depth Length To Trough Recovery
2007-10-29 2020-03-23 NA -0.8470 3372 3121 NA
2002-04-11 2003-02-11 2004-02-17 -0.4852 467 212 255
2000-03-09 2000-05-23 2001-05-22 -0.3443 304 53 251
1999-05-11 1999-10-18 2000-03-08 -0.3421 210 112 98
2001-07-06 2001-09-21 2002-04-10 -0.2866 188 51 137

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 2.8 0 0 -1.7 -1.9 -1.4 0.4 0.9 -0.4 0.4 0.4 1.1 0.3
2000 1.6 3.3 1.8 0.8 1.4 3.5 -0.8 0.7 -1.9 -1.2 0.9 -1.2 9
2001 -1 1.3 2.8 -1.1 0.1 1.1 0.5 0.7 0.2 0.1 -0.1 -1 3.5
2002 0.1 1.5 0.2 0.2 0.3 -2 -0.9 0.4 2.6 -1.9 0.1 -0.1 0.4
2003 0.3 -0.9 0.6 -0.8 1.4 -0.8 -1.7 0.3 2.1 0.6 1.1 0.4 2.5
2004 0 2.1 2.2 -0.3 -0.7 -0.1 0.4 0.1 0.5 -1 1.2 0.1 4.6
2005 2.7 0.1 0.1 1.2 2.5 0.4 1.7 2.6 1.9 0.5 2.4 0.2 17.6
2006 0.8 1.8 1.1 1.7 3.4 1 -1.4 1.7 0.4 -0.2 -0.8 1 10.9
2007 1.2 -1.7 0.4 0.6 1.4 0 0 3.3 2.7 -3.4 1.6 0.5 6.5
2008 2.5 -4.3 3.9 0.7 0.6 -1.2 -0.6 -0.9 -0.9 -3.2 -1.7 0 -5.1
2009 0.4 -1.7 1.4 1.9 2.7 0.9 0.4 -2.2 -2.6 -3.7 3.1 -0.8 -0.4
2010 0.6 1.4 0.7 -1 -1.2 -1.1 0.1 2.4 1.7 0.3 0.9 1.2 6.2
2011 2.5 -0.7 -2.1 0.5 -1.8 -2.2 1 0.1 -3.7 -2.6 -0.4 0 -9.1
2012 1.9 0.6 1.4 1.1 -1 2.8 -0.3 0.1 1.5 0.1 2.6 3.8 15.6
2013 1.6 2.5 1.4 -1.6 -0.3 2.3 1.8 1.8 1.2 0.1 1.4 0.3 13.3
2014 -0.6 -0.4 0.7 1.2 -0.4 0.3 -1.4 -0.3 -1.6 0.1 -4.6 0.4 -6.6
2015 -2 0.8 1.8 -0.4 -0.4 -0.2 1.4 -2.6 0 0.4 0.8 0.9 0.5
2016 0.4 2.2 0.1 0.2 0.3 -1 -0.4 0.4 0.1 -2.1 -1.5 6.1 4.4
2017 0.1 1.8 -0.7 0.7 0.6 0 0.3 0.2 0.6 0 0.6 1.7 5.9
2018 1.5 0.5 1.4 -1.2 0.1 0.7 -0.7 0.2 0.9 3.1 0.1 0.7 7.4
2019 0.5 -1.3 2 0 -3.1 1 -1.4 1.6 -0.5 1 -0.8 0.6 -0.5
2020 -0.7 -5 -2.6 0.1 2.4 2 -0.9 2.7 -0.1 0.5 3.9 -0.9 1
2021 2.8 2.4 -5.2 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart